12 citations · 32 across the 26 of their papers we have counts for
3 papers · 1 filter
Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs
Ting-Jung Lee, Abootaleb Shirvani, Farzana Afroz +2
Taiwan's central role in global semiconductor manufacturing exposes Taiwan-related ETFs to technology concentration, geopolitical uncertainty, and supply-chain disruptions, resulti…
Portfolio Optimization and Tail-Risk Analytics of Actively Managed ETFs
William W. Lamptey, Nicholas Appiah, Abootaleb Shirvani +3
This paper examines portfolio optimization and tail-risk analytics for a heterogeneous universe of actively managed investment funds. Using daily Bloomberg data for 30 funds from 4…
Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches
Jagdish Gnawali, Abootaleb Shirvani, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage +3
Classical option pricing models, such as Bachelier and Black--Scholes--Merton, postulate symmetric Brownian diffusion, which limits their capacity to reflect empirical phenomena in…